Exogenous shocks and the spillover effects between uncertainty and oil price

Lei Li, Libo Yin () and Yimin Zhou

Energy Economics, 2016, vol. 54, issue C, 224-234

Abstract: This paper evaluates the information spillover between equity-related uncertainty and the oil price before and after the 2008 global financial crisis, and the effects of exogenous shocks on the pattern of information spillover. In particular, we investigate mean and volatility spillovers between uncertainty and the oil price with and without exogenous shocks by using a bivariate EGARCH model. There are two main findings in our paper. First, the evidence ensures significant information transmission between equity-related uncertainty and the oil price, and shows remarkable differences in transmission patterns before and after the crisis. Second, the results show that exogenous shocks can intensify information transmission between oil prices and uncertainty in terms of both the mean and volatility spillover effects. Moreover, exogenous shocks exhibit direct spillover effects on oil prices.

Keywords: Oil price; Equity-related uncertainty; Exogenous shocks; Spillover effects; Bivariate EGARCH models (search for similar items in EconPapers)
JEL-codes: E60 Q43 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (54)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:54:y:2016:i:c:p:224-234

DOI: 10.1016/j.eneco.2015.11.017

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